| As one of the most efficient transaction institution in human history, Futures market is known for its function of hedge and diminishing risk. However, futures market itself doesn't bring about the greatly efficient. Put it in another way, the function of the futures was not only based on the futures institution but also on its surroundings such as finance market, cash market etc. In China, the agricultural commodity futures market saw the establishment and development of the futures market. As we know, the first researches on the futures concentrated on the feasible of founding the futures market in China. It has been ten years since the Zhengzhou Commodity Exchange was founded. Therefore, whether to establish the futures market is not the focus of the theatrical research any longer. While how to supervise the futures market and how to promote its efficiency were the most important issues now. This dissertation tries to illuminate the efficiency mechanism of the futures market.4 Before the 70s of last century, there is no standard to clarify the efficiency of the futures market. After the efficiency market hypothesis (EMH) was published, some researchers have classified the efficiency of the market as three levels, i.e., the weak form, the semi-strong form and the strong form. Although it is the precondition for the modern finance theory, the EMH is one of the most controvertible theories in this field. By using the statistic methods, lots of experience test for the capital and futures markets were implemented according to the EMH and various conclusions were deduced. The EMH was so controvertible that it was discarded by some economists who were trying to explain the efficiency from the psychology.Based on the EMH, the efficiency of the agricultural commodity futures (soybean and wheat) market of China was analysis in this dissertation. But this analysis only answered one question, i.e., whether the agricultural commodity futures was efficiency. What is more, no mater how advanced the statistics methods is, it cannot answer why the futures market is efficiency (or inefficiency). Because of this, another task of this dissertation was to decipher the efficiency mechanism of the futures market by using the theory of institution economic. The main content of this dissertation was illustrated as following:Chapter One: the history of the futures market and the basic theory of the futures were introduced in this section;Chapter Two: The EMH was illuminate in details in this chapter, and several statistics methods to test the EMH were explained too. Because the EMH was an arguable theory, some comment was given in the end of this chapter; Chapter Three: The basic information for agricultural commodity futures was illustrated in this chapter, including: the function of the futures market to the agriculture, the relationship between China and CBOT, etc;Chapter four: by using Johansen's Maximum Likelihood Estimation method, the EMH was tested based on the futures and cash prices of soybean and wheat. Certainly, the basis for Johansen's method, the cointergrate theory was introduced at first part of this section;Chapter five: From another point of view to study the efficiency of the agricultural commodity futures by using the ARCH model (Autoregression conditional Heteroskedastic Process).ARCH model can narrate the character fluctuation of the futures prices series.Chapter six: The main content of this part was to illustrate the efficiency mechanism of the agricultural commodity futures by using the method of institution economic. Avoiding to analysis the issues unilaterally, all the deduction was based on the method of system theory. In this section, all the deduction was based on an new concept, i.e. the institution unit, which was the highlight of this dissertation.In the last chapter, lots of suggestions were given from several levels. Generally speaking, there were several points that were the innovations or highlights in this dissertation:First, the system the...
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